Microstructure models with short-term inertia and stochastic volatility

DOI10.1155/2015/323475zbMath1394.91311OpenAlexW2160178006WikidataQ59118017 ScholiaQ59118017MaRDI QIDQ1665369

Michael A. Kouritzin

Publication date: 27 August 2018

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2015/323475

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Related Items (4)

Combined multiplicative-Heston model for stochastic volatility ⋮ Residual and stratified branching particle filters ⋮ EXPLICIT HESTON SOLUTIONS AND STOCHASTIC APPROXIMATION FOR PATH-DEPENDENT OPTION PRICING ⋮ Convergence rates for residual branching particle filters

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